That only works if you have the private key for the address, which most exchanges won't give you. What exchange are you using OP?
It also requires you to
give the private key to someone else, which is a bad idea. handle a raw private key, which is a bad idea.[1]
using c-cex
You have no wallet, but just a balance with a service. Without a wallet of your own, you have no access to the needed private keys to sign a message.
[1] corrected after Bizmark13's remark ->
https://bitcointalk.org/index.php?topic=1096427.msg11683213#msg11683213